chore: import upstream snapshot with attribution

2026-07-13 13:02:50 +08:00
commit 0fc60fdcb1
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+/*
+ * QUANTCONNECT.COM - Democratizing Finance, Empowering Individuals.
+ * Lean Algorithmic Trading Engine v2.0. Copyright 2014 QuantConnect Corporation.
+ *
+ * Licensed under the Apache License, Version 2.0 (the "License");
+ * you may not use this file except in compliance with the License.
+ * You may obtain a copy of the License at http://www.apache.org/licenses/LICENSE-2.0
+ *
+ * Unless required by applicable law or agreed to in writing, software
+ * distributed under the License is distributed on an "AS IS" BASIS,
+ * WITHOUT WARRANTIES OR CONDITIONS OF ANY KIND, either express or implied.
+ * See the License for the specific language governing permissions and
+ * limitations under the License.
+*/
+
+using MathNet.Numerics;
+using QuantConnect.Algorithm.Framework.Alphas;
+using QuantConnect.Algorithm.Framework.Execution;
+using QuantConnect.Algorithm.Framework.Portfolio;
+using QuantConnect.Algorithm.Framework.Risk;
+using QuantConnect.Algorithm.Framework.Selection;
+using QuantConnect.Data.UniverseSelection;
+using QuantConnect.Indicators;
+using QuantConnect.Securities;
+using System;
+using System.Collections.Generic;
+using System.Linq;
+
+namespace QuantConnect.Algorithm.CSharp
+{
+    /// <summary>
+    /// CapmAlphaRankingFrameworkAlgorithm: example of custom scheduled universe selection model
+    /// Universe Selection inspired by https://www.quantconnect.com/tutorials/strategy-library/capm-alpha-ranking-strategy-on-dow-30-companies
+    /// </summary>
+    public class CapmAlphaRankingFrameworkAlgorithm : QCAlgorithm
+    {
+        /// <summary>
+        /// Initialise the data and resolution required, as well as the cash and start-end dates for your algorithm. All algorithms must initialized.
+        /// </summary>
+        public override void Initialize()
+        {
+            // Set requested data resolution
+            UniverseSettings.Resolution = Resolution.Daily;
+
+            SetStartDate(2016, 1, 1);   //Set Start Date
+            SetEndDate(2017, 1, 1);     //Set End Date
+            SetCash(100000);            //Set Strategy Cash
+
+            // set algorithm framework models
+            SetUniverseSelection(new CapmAlphaRankingUniverseSelectionModel());
+            SetAlpha(new ConstantAlphaModel(InsightType.Price, InsightDirection.Up, TimeSpan.FromDays(1), 0.025, null));
+            SetPortfolioConstruction(new EqualWeightingPortfolioConstructionModel());
+            SetExecution(new ImmediateExecutionModel());
+            SetRiskManagement(new MaximumDrawdownPercentPerSecurity(0.01m));
+        }
+
+        /// <summary>
+        /// This universe selection model picks stocks with the highest alpha: interception of the linear regression against a benchmark.
+        /// </summary>
+        private class CapmAlphaRankingUniverseSelectionModel : UniverseSelectionModel
+        {
+            private const int period = 21;
+            private const string _benchmark = "SPY";
+
+            // Symbols of Dow 30 companies.
+            private readonly IEnumerable<Symbol> _symbols = new[]
+            {
+                "AAPL", "AXP", "BA", "CAT", "CSCO", "CVX", "DD", "DIS", "GE", "GS",
+                "HD", "IBM", "INTC", "JPM", "KO", "MCD", "MMM", "MRK", "MSFT",
+                "NKE","PFE", "PG", "TRV", "UNH", "UTX", "V", "VZ", "WMT", "XOM"
+            }.Select(x => QuantConnect.Symbol.Create(x, SecurityType.Equity, Market.USA));
+
+            public override IEnumerable<Universe> CreateUniverses(QCAlgorithm algorithm)
+            {
+                // Adds the benchmark to the user defined universe
+                var benchmark = algorithm.AddEquity(_benchmark, Resolution.Daily);
+
+                // Defines a schedule universe that fires after market open when the month starts
+                yield return new ScheduledUniverse(
+                    benchmark.Exchange.TimeZone,
+                    algorithm.DateRules.MonthStart(benchmark.Symbol),
+                    algorithm.TimeRules.AfterMarketOpen(benchmark.Symbol),
+                    datetime => SelectPair(algorithm, datetime),
+                    algorithm.UniverseSettings);
+            }
+
+            /// <summary>
+            /// Selects the pair (two stocks) with the highest alpha
+            /// </summary>
+            private IEnumerable<Symbol> SelectPair(QCAlgorithm algorithm, DateTime dateTime)
+            {
+                var dictionary = new Dictionary<Symbol, double>();
+
+                var benchmark = GetReturns(algorithm, _benchmark);
+
+                foreach (var symbol in _symbols)
+                {
+                    var prices = GetReturns(algorithm, symbol);
+
+                    // Calculate the Least-Square fitting to the returns of a given symbol and the benchmark
+                    var ols = Fit.Line(prices, benchmark);
+
+                    dictionary.Add(symbol, ols.Item1);
+                }
+
+                // Returns the top 2 highest alphas
+                var orderedDictionary = dictionary.OrderByDescending(key => key.Value);
+                return orderedDictionary.Take(2).Select(x => x.Key);
+            }
+
+            private double[] GetReturns(QCAlgorithm algorithm, Symbol symbol)
+            {
+                var window = new RollingWindow<double>(period);
+                var rateOfChange = new RateOfChange(1);
+                rateOfChange.Updated += (s, item) => window.Add((double)item.Value);
+
+                foreach (var bar in algorithm.History(symbol, period, Resolution.Daily))
+                {
+                    rateOfChange.Update(bar.EndTime, bar.Close);
+                }
+                return window.ToArray();
+            }
+        }
+    }
+}